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Jan
18
comment Sharpe ratio in days with no open positions
Thank you Chris. Then how should I anualize the Sharpe ratio? Can I still use square_root(250)?
Jan
17
accepted Trading a synthetic replication of the VVIX (volatility of VIX)
Jan
17
asked Sharpe ratio in days with no open positions
Oct
22
awarded  Citizen Patrol
Oct
9
comment Trading a synthetic replication of the VVIX (volatility of VIX)
Thanks. The point: the mean reversion of the vvix.
Oct
9
awarded  Excavator
Oct
9
revised Trading a synthetic replication of the VVIX (volatility of VIX)
Changed title so people don't think is repeated question
Oct
9
awarded  Custodian
Oct
9
reviewed Leave Open Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
Oct
9
reviewed Leave Open T-note returns from T-note yields … derivation of Damodaran's formula
Oct
9
asked Trading a synthetic replication of the VVIX (volatility of VIX)
Oct
9
awarded  Editor
Oct
9
revised Trading a synthetic replication of the VIX index
Used Larry William's Highest(...) function instead of max(...) that can lead to confusion.
Oct
9
suggested approved edit on Trading a synthetic replication of the VIX index
Oct
5
accepted Why the interest rate for put-call parity is not constant?
Oct
5
comment Why the interest rate for put-call parity is not constant?
Thanks Strange. I was not considering dividends at all.
Oct
5
asked Why the interest rate for put-call parity is not constant?
Oct
5
accepted How should I include the bid-ask spread as a transaction cost in a backtest?
Oct
5
accepted When to use Monte Carlo simulation over analytical methods for options pricing?
Oct
2
asked When to use Monte Carlo simulation over analytical methods for options pricing?